Part a) Part b) (c) Test to see if the models estimated in parts (a) and (b) con
ID: 2925683 • Letter: P
Question
Part a)
Part b)
(c) Test to see if the models estimated in parts (a) and (b) contain any first-order autocorrelation using Durbin Watson test.
Dependent Variable: APPLE RETURNS Method: Least Squares Date: 10/12/17 Time: 01:03 Sample (adjusted): 2001M07 2016M06 Included observations: 180 after adjustments Variable Coefficient Std. Error t-Statistic Prob. DJI RETURNS DA1 DE1 0.019347 0.007300 2.650086 0.0088 1.353615 0.1635218.277922 0.0000 0.011218 0.023252 0.482450 0.6301 0.0491 0.187169 0.094476 -1.981122 R-squared Adjusted R-squared S.E. of regression Sum squared resi Log likelihood F-statistic Prob(F-statistic) 0.305289 0.293447 0.091819 1.483824 176.4411 25.78086 0.000000 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat 0.023344 0.109235 1.916013 1.845058 1.887244 2.021131Explanation / Answer
H0: autocorrelation = 0
H1: autocorrelation ~= 0
Total number of observations for both cases - 180, no. Of variables = 4, therefore, using the confidence level values, alpha = 0.05 => Durbin test statistic, dL = 1.71 and dU = 1.80.
a) given d = 2.021131, so d > dU, therefore, do not reject H0. Hence autocorrelation = 0 => no first order autocorrelation present.
b) given d = 2.028347, so d > dU, therefore, do jotnot reject H0. Hence autocorrelation = 0 => no first order autocorrelation present.